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Measuring Market Risk

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The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an und... Weiterlesen
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Beschreibung

The most up-to-date resource on market risk methodologies
Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab(r)-allowing the reader to simulate and run the examples in the book.

Autorentext
Kevin Dowd (Nottingham, UK) is Professor of Financial Risk Management at Nottingham University Business School. He is the author of Beyond Value at Risk: The New Science of Risk Management (Wiley: 0-471-97621-0). Dowd regularly has articles published in Financial Engineering News and Derivatives Professional.

Klappentext

The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab--allowing the reader to simulate and run the examples in the book.



Zusammenfassung

The most up-to-date resource on market risk methodologies

Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlaballowing the reader to simulate and run the examples in the book.

Produktinformationen

Titel: Measuring Market Risk
Autor:
EAN: 9780470855218
ISBN: 978-0-470-85521-8
Digitaler Kopierschutz: Adobe-DRM
Format: E-Book (pdf)
Herausgeber: Wiley
Genre: Betriebswirtschaft
Anzahl Seiten: 392
Veröffentlichung: 28.02.2003
Jahr: 2003
Untertitel: Englisch
Dateigrösse: 2.2 MB